Barclays plans buffered jump notes linked to dollar ICE swap rate

By Susanna Moon

Chicago, May 17 – Barclays Bank plc plans to price 0% buffered jump securities due June 26, 2017 linked to the 10-year U.S. dollar ICE swap rate, according to an FWP filing with the Securities and Exchange Commission.

If the swap rate finishes at or above the 85% threshold rate, the payout at maturity will be par plus the fixed upside payment of at least 10.9%. The exact return will be set at pricing.

Otherwise, investors will lose 1% for every 1% decline below the threshold rate.

Barclays is the agent with Morgan Stanley Wealth Management as dealer.

The notes will price on May 20 and settle on May 26.

The Cusip number is 06741V3T7.

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